DataFerret tool for accessing and tabulating microdata
IPUMS from Minnesota Population Center provides Census Bureau microdata, including the ACS, CPS back to 1962, and decennial censuses back to 1850! It's easier than raw data files, but not for the faint of heart.
CoreLogic has data based on public records and servicing portfolios regarding home sales, foreclosures, negative equity, "shadow inventory" and other good (or, sad but relevant) stuff, much of which is shown in public-available reports
Flow of Funds data from Federal Reserve shows outstanding debt and home equity. Note that household ownership of rental real estate is counted under nonfinancial noncorporate business, rather than in household real estate assets and mortgage debt. The Federal Reserve also conducts a quarterly Senior Loan Officers Opinion Survey that measures whether home mortgage lending (and other lending) is being tightened or loosened.
County Business Patterns Establishments and employees by industry. Industry classifications are probably more consistent across states than alternative data from BLS. Some data are available by zip code.
Data.gov A site "to increase public access to high value, machine readable datasets generated by the Executive Branch of the Federal Government." Another useful site is the Federal Digital System from the Government Printing Office, with links to various government publication such as the Federal Register and Congressional Record
Fed In Print - Search engine maintained by FRB San Francisco monitors reports from throughout Federal Reserve system